Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0296
Annualized Std Dev 0.3113
Annualized Sharpe (Rf=0%) 0.0952

Row

Daily Return Statistics

Close
Observations 5520.0000
NAs 1.0000
Minimum -0.5148
Quartile 1 -0.0075
Median 0.0007
Arithmetic Mean 0.0003
Geometric Mean 0.0001
Quartile 3 0.0091
Maximum 0.1640
SE Mean 0.0003
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0008
Variance 0.0004
Stdev 0.0196
Skewness -4.1038
Kurtosis 96.7601

Downside Risk

Close
Semi Deviation 0.0153
Gain Deviation 0.0122
Loss Deviation 0.0186
Downside Deviation (MAR=210%) 0.0192
Downside Deviation (Rf=0%) 0.0152
Downside Deviation (0%) 0.0152
Maximum Drawdown 0.9312
Historical VaR (95%) -0.0268
Historical ES (95%) -0.0469
Modified VaR (95%) -0.0103
Modified ES (95%) -0.0103
From Trough To Depth Length To Trough Recovery
2007-07-25 2009-03-09 NA -0.9312 3405 409 NA
2000-03-10 2001-09-21 2004-02-12 -0.4482 957 382 575
1999-05-11 1999-10-18 1999-12-20 -0.2786 156 112 44
2005-12-16 2006-06-14 2006-09-18 -0.2665 189 123 66
2005-03-09 2005-04-18 2005-09-06 -0.2507 126 28 98

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 -2.4 1.1 -0.9 -0.8 -2.7 3.3 -1.7 0.9 0 -1.8 -0.8 1.4 -4.5
2000 0.7 1.2 0 1.3 0.7 3.1 0 0 0 0 -0.7 -1.6 4.7
2001 2.1 0.5 0.1 0.6 0.4 0.8 0.9 2 -0.6 0.7 1 -1.1 7.6
2002 1.3 -0.1 0.5 1 8.7 0.9 -1.5 -0.6 -1.8 -1.8 0.9 -0.1 7.2
2003 1.9 0 -1.1 0.1 0.1 -0.3 0 0 0.3 1.5 -0.2 1 3.4
2004 -1.1 1.3 -0.7 -2.5 -1.2 -0.4 -0.8 -0.1 2.3 1.3 3.2 0.5 1.8
2005 0.4 0.8 0.8 0.4 0.2 0.3 1 2.6 1.3 0.9 1.2 -0.5 9.8
2006 0.8 2.2 -0.5 0.1 0.9 1.7 -1.6 0.9 0 0.1 0.6 -3.1 1.7
2007 1.1 -5 1.3 2.6 -0.3 0.3 -5.5 -0.3 0.2 -1.7 0.9 -1.5 -8
2008 3.1 -4 2.9 0.4 1.1 -1 -0.8 -0.7 1.9 0.5 -6.7 -1.4 -5
2009 -0.4 -0.5 2.8 3.2 2 0.9 0 1.2 -2.4 -3.9 3.5 0 6.4
2010 1.1 1.7 0.9 -0.4 -1 -1.2 0.8 1.4 1 0.7 1.3 0.4 6.6
2011 2.5 -0.9 1.1 0 -1 0.5 2.5 0 -1.9 -2 0.1 2.3 3
2012 1.6 1.6 0.8 0.9 -1.8 3.4 -0.2 0.3 1.2 0 0.2 1.6 10.1
2013 0.4 0.3 -1 -0.3 -0.4 0.7 1 0.1 1.7 -0.3 1.5 -1.4 2.6
2014 -0.3 0.4 0.1 0.8 -1.2 2.6 -0.1 0.1 -0.6 -0.3 -2.7 -1.1 -2.3
2015 -2.2 0.7 1.3 -0.2 -0.2 -0.3 1.4 -1.2 -0.7 1.3 1.3 0.6 1.8
2016 0.6 1.6 -0.3 0.7 0 0.2 0 0.3 -0.2 -0.9 -0.5 -0.1 1.2
2017 0.2 2.2 -0.2 -0.2 1 0.7 -0.2 0 0.3 -0.6 0.6 1.6 5.6
2018 1.8 0.6 1.6 -0.5 1.3 0.7 0.5 0.1 1.1 6.4 0.5 0.7 15.6
2019 -1.5 0.6 0.6 -0.6 -5.5 0.5 0.5 0.6 1 0.3 0.2 -0.7 -4.1
2020 -3.5 -3.7 -5.6 -0.8 6.5 1.4 -2.3 0.9 0 0 2.7 -0.9 -5.8
2021 2.4 1.5 0.1 NA NA NA NA NA NA NA NA NA 4.1

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Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart